All VIX Short

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 3 4.9 44 1 4 0 (2) 0 80
60 1 1.7 48 0 3 (2) (8) 0 90
120 2 3.1 56 0 3 (2) (8) 0 88
250 2 3.8 59 1 3 (2) (14) 0 91
500 2 2.5 57 0 3 (3) (20) (1) 92
760 2 2.4 56 0 3 (2) (20) (1) 91
1260 1 2 56 0 3 (2) (20) (1) 90
2520 1 2.1 54 0 3 (2) (21) (1) 89
All 1 2.1 54 0 3 (2) (21) (1) 85

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0 0.1 0.3 0.1 0 0.2 0.2 0 0.2 0.1 0.1 0.1 1.4 2.1 55.9 243.6 (0.2) (0.5) 0.1 0
2017 0.4 0.1 0.2 0.1 0 0 0 0 0 0 0 0 0.8 3.6 56 89 (0.1) (0.2) 0.1 0
2016 (0.2) (0.1) 0.5 0.1 0.2 0.5 0.3 0.2 0.3 0 0.2 0.1 2.1 2.8 59.9 252 (0.2) (0.5) 0.1 0
2015 (0.2) 0.4 0.2 0.2 0.1 0 0.4 (0.2) 0.3 0.3 (0.1) (0.1) 1.3 1.9 53.8 251 (0.1) (0.5) 0.1 0
2014 (0.3) (0.1) 0.1 0.1 0.2 0.2 (0.1) 0.1 (0.1) 0.1 0.2 0.2 0.6 1.3 53.7 238 (0.1) (0.5) 0.1 0
2013 0.4 0 0.1 0 0 (0.1) 0.4 (0.1) 0.1 0 0.2 0.1 1.1 1.9 56.3 241 (0.2) (0.4) 0 0
2012 0.4 0.3 0.6 0.1 (0.4) 0.5 0.1 0 0.2 0 0.2 0 2 2.4 55.9 236 (0.2) (0.5) 0.1 0
2011 0.1 0 0 0.4 0.1 (0.1) (0.1) (0.1) (0.1) 0.4 0.1 0.5 1.2 1.5 50.9 236 (0.1) (0.5) 0.1 0
2010 0.2 0.3 0.3 0 (0.1) 0.1 0.3 (0.1) 0.4 0.4 0.1 0.5 2.4 3.7 60.9 243 (0.1) (0.3) 0.1 0
2009 0.1 0 0 0.3 0.1 0.1 0.2 0.1 0.1 0 0 0.4 1.4 2.4 54.9 235 (0.2) (0.3) 0.1 0
2008 (0.2) 0 0.1 0.4 0.2 (0.2) 0.1 0.2 (0.5) (0.3) 0.1 0.3 0.2 0.1 43.2 231 (0.1) (0.8) 0.1 0
2007 0.2 0.1 0.1 0.1 0.1 0 (0.1) (0.1) 0.3 0 (0.1) 0.2 0.8 1.3 46.5 237 (0.2) (0.5) 0.1 0
2006 0.2 0.1 0.1 0.1 (0.3) 0.3 0.2 0.2 0.2 0.4 0 0 1.5 2.6 55.3 237 (0.2) (0.4) 0.1 0
2005 0 0.1 0 0 0.1 0 0 0 0 0 0.1 0 0.3 4.2 52 165 0 (0.1) 0 0